Existence of linear-quadratic regulator for degenerate diffusions

MaRDI QIDQ3417482zbMATH OpenFDO

Authors Azizul Baten

Publication date 29 January 2007

zbMATH Keywords

stochastic differential equationHamilton-Jacobi-Bellman equationuniquenessapplications to control theorylinear regulatory quadratic control problemsmoothness of viscosity solutions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Existence theories for optimal control problems involving ordinary differential equations (49J15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Linear-quadratic optimal control problems (49N10) Applications of variational problems to control theory (58E25)

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Cited in

(4)

• Viscosity solution of linear regulator quadratic for degenerate diffusions
• On the smoothness of solutions of linear-quadratic regulator for degenerate diffusions
• Degenerate variance control in the one-dimensional stationary case
• Classical solutions of linear regulator for degenerate diffusions

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